中国银行间同业拆借市场信息国际化的检验

A Test on the Internationalization of Information in China Interbank Market

本文运用EGARCH模型,检验伦敦银行间同业拆借市场和中国银行间同业拆借市场之间拆借利率波动溢出的流星雨假定。结果表明,来自伦敦银行间同业拆借市场的流星雨对中国银行间同业拆借市场利率波动具有显著性影响。

The EGARCH model is used to test the meteor shower hypothesis of volatility spillover cross interbank markets between London and China. We find evidences that the meteor showers of volatility spillover of interbank offered rates from London interbank market have significant effects on China interbank market.